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Table 1 Brief review of previous studies on the properties of cryptocurrencies as a hedge, safe haven, and diversifier during the COVID-19 disease outbreak

From: Exploring the asymmetric effect of COVID-19 pandemic news on the cryptocurrency market: evidence from nonlinear autoregressive distributed lag approach and frequency domain causality

Author(s)

Period

Variables

Quantitative methods

Empirical outcomes

Allen (2022)

August 7, 2015–July 23, 2021

Bitcoin, Ethereum, S&P500 Index

Regression analysis, generalised measure of correlation, non-parametric copula

Bitcoin and Ethereum do not offer a powerful tool for portfolio diversification

Ali et al. (2022)

August 1, 2011–September 1, 2019

Bitcoin, Dow Jones World Emerging, Dow Jones World Islamic, FTSE4GOOD Global, gold, silver, MSCI World Energy, US Economic Policy Uncertainty

Multivariate Generalized Autoregressive Conditional

Heteroscedastic-Dynamic Conditional Correlation (MGARCH-DCC), Continuous

Wavelet Transforms (CWT)

Bitcoin ensures equivalent hedging potential to commodities like gold and silver with respect to the policy uncertainty

Al-Shboul et al. (2022)

September 8, 2015–February 21, 2021

Bitcoin, Litecoin, Ethereum, Tether, Ripple

Quantile VAR mode

While Bitcoin lost its role as a leading hedger during the downturn, Litecoin served as a central hedger and/or a value saver both during and before the pandemic

Balcilar et al. (2022)

October 2, 2017–May 20, 2022

Bitcoin, Cardano, Bitcoin Cash, Ethereum, Litecoin, USD Tether, Ripple, 27 emerging equity markets

Standard vector autoregressive (VAR) model, frequency decompositions of connectedness measures, quantile connectedness approach, lasso VAR

For emerging stock markets, major cryptocurrencies cannot be used as a diversifier

Bashir and Kumar (2022)

January 23, 2020–31 July 31, 2021

20 major cryptocurrencies based on market capitalisation

Simple linear regression, quantile regression (QR), the exponential generalised autoregressive conditional heteroskedasticity (EGARCH) model, sentiment analysis

Because cryptocurrencies do not behave autonomously during bear markets brought on by the COVID-19, they cannot serve as a safe haven

Będowska-Sójka and Kliber (2021)

August the 10, 2015–April 24, 2020

Bitcoin, Ether, S&P 500, DAX, FTSE250, STOXX Europe 600 Index, gold

Multivariate stochastic volatility model with dynamic conditional correlation

Neither Bitcoin nor Ether should be regarded as safe-haven assets

Cai et al. (2022)

January 2012–June 2021

Bitcoin price, economic policy uncertainty

Wavelet analysis

Although the Bitcoin market can be regarded as a prominent gauge, it cannot be treated as a safe-haven asset hedge against the economic policy uncertainty

Chemkha et al. (2021)

April 29, 2013–January 5, 2021

Bitcoin, gold, indices, exchange rates

Asymmetric dynamic conditional correlation (A-DCC) model

Bitcoin cannot ensure protection throughout the COVID-19 outbreak due to its considerable variation

Diniz-Maganini and Rasheed (2022)

July–December 2020

Bitcoin, MSCI

Detrended partial-cross-correlation analysis (DPCCA)

For the MSCI index, Bitcoin was never a safe haven

Dutta et al. (2020)

December 2014–March 2020

Bitcoin, WTI, Brent, Gold

DCC-GARCH

During the COVID-19 pandemic, Bitcoin only serves as a diversifier

Grira et al. (2022)

January 1, 2019–December 31, 2020

Bitcoin, S&P 500 index

Granger causality test, least squares (OLS) with the Newey-west estimator

During the COVID-19 crisis, Bitcoin can be viewed as a weak safe haven asset

Grobys (2021)

March 19, 2015–March 18, 2020

Bitcoin, S&P 500 index, gold

Difference-in-differences estimation

Bitcoin is not a reasonable tool for mitigating tail risk in US stocks

Hasan et al. (2022)

December

30, 2013–February 21, 2021

Bitcoin, gold, US Dollar index, Dow Jones World Islamic Market index, Dow Jones World Sukuk

index, Crude Oil West Texas Intermediate, cryptocurrency policy uncertainty

Ordinary least squares (OLS), quantile regression (QR), quantile-on-quantile (QQ) regression

Bitcoin, US dollar, and WTI do not possess any safe-haven characteristics

Kumar and Padakandla (2022)

January 5, 2015–December 31, 2020

Bitcoin, Gold, DJIA, CAC40, NSE50, S&P 500, NASDAQ, EUROSTOXX

Wavelet Quantile Correlation

Bitcoin have shown long-term diversifier features but no safe haven characteristics for a highly market capitalized index like the S&P500

Maitra et al. (2022)

August 1, 2019,–May 29, 2020

Bitcoin, Ethereum, eight stock market indices

Copula-based VaR and CoVaR models

Cryptocurrencies are unable to generate additional earnings by reducing stock market risk in the face of the COVID-19 pandemic

Omane-Adjepong and Alagidede (2021)

January 5, 2015–August 11, 2020

Bitcoin, precious metals, Africa’s emerging equity markets

Two-stage DCC-GARCH

Bitcoin is not a superior safe haven alternative, only a complementary one

Rao et al. (2022)

August 2011–July 2021

Bitcoin, S&P Green

Bond Index, S&P GSCI Crude Oil, S&P GSCI Gold Index, MSCI Emerging Markets Index, MSCI World Index

Time-varying parametric vector autoregression, quantile regression

Instead of acting as a hedge, cryptocurrencies behave as a safe haven for certain international indices at particular times

Ren et al. (2022)

January 23, 2020–August 19, 2020

Bitcoin, gold, WTI

crude oil futures price, Brent crude oil futures

The varying-coefficient quantile regression

Oil-related portfolios have been found to benefit from Bitcoin’s role as a safe haven

Singh et al. (2022)

July 2016–June 2021

Bitcoin returns, economic policy uncertainty, geopolitical risk

Wavelet coherence analysis

In P5 + 1 countries, Bitcoin can be used as hedge against policy uncertainties and geopolitical risk

Syuhada et al. (2022)

September 29, 2018–March 31, 2021

Bitcoin, gold, energy commodities

Vine copula

The safe-haven feature of Bitcoin was regarded as unreasonable

Ustaoglu (2022)

August 7, 2011–November 16, 2021

Bitcoin, Ethereum, 27 main emerging market indices

Asymmetric dynamic conditional correlation-generalized autoregressive conditional heteroskedasticity model (ADCC-GARCH)

Bitcoin and Ethereum have safe-haven attributes relative to the most of emerging stock market indices during the pandemic timeframe

Vukovic et al. (2021)

January 22, 2020–April 11, 2020

Bitcoin, Ethereum, XRP, Tether, Bitcoin Cash, gold, crude oil, VIX, S&P 500 index

OLS (ordinary least squares), quantile, robust regressions

During COVID-19 crisis, the cryptocurrency market cannot serve as a haven or a hedge

Wen et al. (2022)

January 3,

2019–June 4, 2021

Bitcoin, COMEX gold

futures price, the WTI oil price, the S&P 500 index

Time varying parameter vector auto-regression (TVP-VAR)

Bitcoin cannot be considered a safe haven

Yang et al. (2022)

January 15, 2015–December 31, 2015, and December 31, 2019–August 21, 2020

Bitcoin, gold, crude oil, commodities

Connectedness analysis, Wavelet-based DCC-GARCH model

In the long run, Bitcoin is relatively appropriate for hedging to lower portfolio volatility. It also performed well as a safe haven during the Swiss franc black swan event and phase I of COVID-19

  1. Source Authors’ own work